# 52-Week High Momentum (JP All Stocks)

- **Slug**: `high52w-momentum-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anchoring, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:51)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/high52w-momentum-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/high52w-momentum-jp-all
- **License**: CC-BY-4.0

## Hypothesis

George & Hwang (2004): proximity to 52-week high as momentum signal. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.57, best=0.19. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.572 |
| Max drawdown | -26.3% |
| p-value | 0.26 |
| Backtest period | 2022-05-02 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.57, best 0.19 (best-case — not representative), worst -1.43, p25 -0.74, p75 -0.33.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-high52w-momentum-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.26 | -2.76 | 0.21 | 1.99 |
| `r-high52w-momentum-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.1 | -1.23 | 0.21 | 1.99 |
| `r-high52w-momentum-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.47 | -3.04 | -0 | 1.61 |
| `r-high52w-momentum-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.11 | -1.44 | -0 | 1.61 |
| `r-high52w-momentum-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.37 | -2.28 | 0.23 | -1.15 |
| `r-high52w-momentum-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.72 | -1.48 | -0.25 | -1.7 |
| `r-high52w-momentum-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.73 | -0.62 | -0.78 | -0.69 |
| `r-high52w-momentum-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.95 | -0.98 | -0.9 | -0.97 |
| `r-high52w-momentum-jp-all-0052` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.73 | 0.43 | -1.08 | -0.29 |
| `r-high52w-momentum-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.78 | -0.45 | -0.88 | -0.87 |
| `r-high52w-momentum-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.79 | -0.18 | -0.91 | -0.89 |
| `r-high52w-momentum-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.27 | -1.41 | -0.11 | 0.1 |
| `r-high52w-momentum-jp-all-0087` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.86 | -0.74 | -0.87 | -1.02 |
| `r-high52w-momentum-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.19 | -0.12 | 0.47 | -1.4 |
| `r-high52w-momentum-jp-all-0102` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.66 | -1.56 | -0.12 | -1.82 |
| `r-high52w-momentum-jp-all-0116` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | -0.48 | -0.51 | -0.47 | -0.34 |
| `r-high52w-momentum-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.83 | -0.67 | -1.03 | -0.21 |
| `r-high52w-momentum-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.77 | -0.92 | -0.75 | -0.48 |
| `r-high52w-momentum-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.84 | -0.77 | -1.08 | 0.1 |
| `r-high52w-momentum-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.64 | -2.8 | -0.04 | -0.61 |
| `r-high52w-momentum-jp-all-0178` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.36 | -1.37 | 0.27 | -0.37 |
| `r-high52w-momentum-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.35 | -1.08 | -0.15 | 0.97 |
| `r-high52w-momentum-jp-all-0198` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.45 | -0.7 | -0.4 | -0.02 |
| `r-high52w-momentum-jp-all-0212` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.71 | -0.26 | -0.99 | 0.26 |
| `r-high52w-momentum-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | -0.84 | -1.43 | -0.66 | -0.63 |
| `r-high52w-momentum-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.18 | -2.1 | -1.17 | 0.45 |
| `r-high52w-momentum-jp-all-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.98 | -1.22 | -1.17 | 0.45 |
| `r-high52w-momentum-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.43 | -2.46 | -1.4 | 0.26 |
| `r-high52w-momentum-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.74 | -1.29 | -0.45 | -0.47 |
| `r-high52w-momentum-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.83 | -1.6 | -0.37 | -1.21 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.19 (p=0.7).**
  - Value: 0.19 sharpe_ratio
  - Context: period 2022-05-02–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.57.**
  - Value: -0.57 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.26 across 160 runs.**
  - Value: -0.26 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.56 across 160 runs.**
  - Value: -0.56 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.56 across 160 runs.**
  - Value: -0.56 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-up

## Related strategies

- same_strategy: [high52w-momentum-jp-growth](https://qbuntu.ai/strategies/high52w-momentum-jp-growth)

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Cite as: qbuntu (2026). 52-Week High Momentum (JP All Stocks). https://qbuntu.ai/strategies/high52w-momentum-jp-all

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